Abstract
This chapter first reviews alternative methods for determining option bounds. This method includes stochastic dominance, linear programming, semi-parametric method, and nonparametric method for European option. Then option bounds for American and Asian options are discussed. Finally, we discuss empirical applications in equities and equity indices, index futures, foreign exchange rates, and real options.
| Original language | English (US) |
|---|---|
| Title of host publication | Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes) |
| Publisher | World Scientific Publishing Co. |
| Pages | 893-922 |
| Number of pages | 30 |
| Volume | 2-4 |
| ISBN (Electronic) | 9789811269943 |
| ISBN (Print) | 9789811269936 |
| DOIs | |
| State | Published - Apr 8 2024 |
All Science Journal Classification (ASJC) codes
- General Economics, Econometrics and Finance
- General Business, Management and Accounting
Keywords
- American options
- European options
- Incomplete market
- Linear programming
- Non-parametric
- Option bounds
- Semi-parametric
- Stochastic dominance